Schmidli, H. (2017). DIVIDENDS WITH TAX AND CAPITAL INJECTION IN A SPECTRALLY NEGATIVE LEVY RISK MODEL. Theory Probab. Math. Stat., 96. S. 171 - 184. KYIV: TARAS SHEVCHENKO NATL UNIV KYIV, FAC MECH & MATH. ISSN 1547-7363
Full text not available from this repository.Abstract
We consider a risk model driven by a spectrally negative Levy process. From the surplus dividends are paid and capital injections have to be made in order to keep the surplus positive. In addition, tax has to be paid for dividends, but injections lead to an exemption from tax. We generalize the results from [12, 13] and show that the optimal dividend strategy is a two-barrier strategy. The barrier depends on whether an immediate dividend would be taxed or not. For a risk process perturbed by diffusion with exponentially distributed claim sizes, we show how the value function and the barriers can be determined.
| Item Type: | Journal Article | ||||||||
| Creators: |
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| URN: | urn:nbn:de:hbz:38-245412 | ||||||||
| Journal or Publication Title: | Theory Probab. Math. Stat. | ||||||||
| Volume: | 96 | ||||||||
| Page Range: | S. 171 - 184 | ||||||||
| Date: | 2017 | ||||||||
| Publisher: | TARAS SHEVCHENKO NATL UNIV KYIV, FAC MECH & MATH | ||||||||
| Place of Publication: | KYIV | ||||||||
| ISSN: | 1547-7363 | ||||||||
| Language: | English | ||||||||
| Faculty: | Unspecified | ||||||||
| Divisions: | Unspecified | ||||||||
| Subjects: | no entry | ||||||||
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| Refereed: | Yes | ||||||||
| URI: | http://kups.ub.uni-koeln.de/id/eprint/24541 |
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